From 752 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 31.96% | Sharpe | −0.28 |
| Sortino | −0.42 |
| Beta | 0.96 | Correlation | 0.47 |
| Up capture | 49.81% | Down capture | 254.91% |
| Max Drawdown | −44.40% | Ulcer Index | 28.41 |
| MTD | −2.79% | QTD | −3.73% |
| YTD | −28.28% | Window (ann., 3.0y) | −13.08% |
| Skewness | 0.65 | Excess Kurtosis | 3.55 |
| Omega (θ=0) | 0.95 | Tail Ratio | 0.96 |
| Gain/Pain | −0.05 | Hit Rate | 48.94% |
| Win/Loss | 0.99 | Upside Potential | 0.53 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -3.13% | -4.58% | -3.35% | -4.72% |
| CVaR (ES) | -4.12% | -5.75% | -4.19% | -5.40% |
| VaR (Cornish-Fisher) | — | — | -2.82% | -5.11% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -44.40% | 2024-03-14 | 2025-06-26 | ongoing | 321 | — |
| -21.64% | 2023-08-29 | 2023-10-13 | 2024-02-12 | 32 | 82 |
| -3.11% | 2024-02-12 | 2024-02-13 | 2024-02-15 | 1 | 2 |
| -2.62% | 2024-02-27 | 2024-03-05 | 2024-03-07 | 5 | 2 |
| -0.72% | 2024-02-15 | 2024-02-16 | 2024-02-20 | 1 | 1 |
| -0.51% | 2024-02-23 | 2024-02-26 | 2024-02-27 | 1 | 1 |
| -0.30% | 2024-03-07 | 2024-03-08 | 2024-03-11 | 1 | 1 |
Worst depth first · lengths in trading days.
